This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...

The present paper evaluates whether the adaptive market hypothesis provides a better description of the behavior of Indian stock market using daily values of Sensex and Nifty, the two major indices of India from January 1991 to April 2013. We employed linear and nonlinear methods to evaluate the...

An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...

This paper examines the validity of the Random Walk Model in the Pakistani equity market. The model, extensively tested in other equity markets, implies that past movements in a stock price are not helpful in predicting future prices of that stock. The model states that changes in stock prices...

Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual...

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during financial crisis using a data set ranging from 2006 to 2010. Employing a rich and detailed dataset of characteristics of firm listed in Ho Chi Minh City Stock Exchange, the results...

Firms producing differentiated products have high margins and therefore low risk. As a result firms invest more into developing differentiated products when they perceive risk is high. Higher risk also implies higher product skewness towards more differentiated products and therefore higher...

This paper examines the impact of illiquidity and liquidity risk on expected stock returns in the Turkish stock markets. Using daily data of the ISE-100 stock index from 2005 to 2012 and Amihud (2002) illiquidity measure, we test the liquidity-adjusted capital asset pricing model (L-CAPM) of...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...